| UNITED STATES | |
| SECURITIES AND EXCHANGE COMMISSION | |
| Washington, D.C. 20549 | |
| FORM N-Q | |
| QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED | |
| MANAGEMENT INVESTMENT COMPANIES | |
| Investment Company Act file number 811-21416 | |
| John Hancock Tax-Advantaged Dividend Income Fund | |
| (Exact name of registrant as specified in charter) | |
| 601 Congress Street, Boston, Massachusetts 02210 | |
| (Address of principal executive offices) (Zip code) | |
| Salvatore Schiavone, Treasurer | |
| 601 Congress Street | |
| Boston, Massachusetts 02210 | |
| (Name and address of agent for service) | |
| Registrant's telephone number, including area code: 617-663-4497 | |
| Date of fiscal year end: | October 31 |
| Date of reporting period: | January 31, 2011 |
ITEM 1. SCHEDULE OF INVESTMENTS
Tax-Advantaged Dividend Income Fund
As of 01-31-11 (Unaudited)
| Shares | Value | |
| Common Stocks 87.90% | $558,189,303 | |
|
| ||
| (Cost $522,944,874) | ||
| Consumer Discretionary 0.00% | 89 | |
|
| ||
| Publishing 0.00% | ||
| SuperMedia, Inc. (I) | 26,830 | 89 |
| Energy 9.16% | 58,194,300 | |
|
| ||
| Oil, Gas & Consumable Fuels 9.16% | ||
| BP PLC, SADR (L)(Z) | 187,500 | 8,900,625 |
| Chevron Corp. (L)(Z) | 82,500 | 7,831,725 |
| Spectra Energy Corp. (L)(Z) | 1,155,000 | 30,295,650 |
| Total SA, SADR (L)(Z) | 190,000 | 11,166,300 |
| Industrials 1.46% | 9,264,400 | |
|
| ||
| Industrial Conglomerates 1.46% | ||
| General Electric Company (L)(Z) | 460,000 | 9,264,400 |
| Telecommunication Services 4.90% | 31,115,260 | |
|
| ||
| Diversified Telecommunication Services 3.13% | ||
| Alaska Communications Systems Group, Inc. (L)(Z) | 55,000 | 506,000 |
| AT&T, Inc. (Z) | 400,000 | 11,008,000 |
| Verizon Communications, Inc. (Z) | 235,000 | 8,370,700 |
| Wireless Telecommunication Services 1.77% | ||
| Vodafone Group PLC, SADR (L)(Z) | 396,000 | 11,230,560 |
| Utilities 72.38% | 459,615,254 | |
|
| ||
| Electric Utilities 20.08% | ||
| American Electric Power Company, Inc. (L)(Z) | 595,000 | 21,229,600 |
| Duke Energy Corp. (L)(Z) | 765,000 | 13,678,200 |
| Entergy Corp. (L)(Z) | 105,000 | 7,577,850 |
| FirstEnergy Corp. (C) | 510,000 | 19,951,200 |
| Northeast Utilities | 75,000 | 2,469,000 |
| PNM Resources, Inc. (Z) | 58,000 | 755,740 |
| Progress Energy, Inc. (Z) | 671,200 | 30,150,304 |
| Southern Company (Z) | 441,867 | 16,623,037 |
| UIL Holding Corp. | 500,000 | 15,095,000 |
| Gas Utilities 9.57% | ||
| Atmos Energy Corp. (L)(Z) | 725,000 | 23,635,000 |
| Northwest Natural Gas Company (Z) | 132,500 | 5,904,200 |
| ONEOK, Inc. (Z) | 530,000 | 31,211,700 |
| Multi-Utilities 42.73% | ||
| Ameren Corp. (L)(Z) | 555,000 | 15,745,350 |
| Black Hills Corp. (L)(Z) | 560,000 | 17,365,600 |
| CH Energy Group, Inc. (Z) | 457,000 | 22,214,770 |
| Consolidated Edison, Inc. (L)(Z) | 270,000 | 13,475,700 |
| Dominion Resources, Inc. (L)(Z) | 420,000 | 18,286,800 |
| DTE Energy Company (L)(Z) | 543,100 | 25,123,806 |
| Integrys Energy Group, Inc. (L)(Z) | 555,000 | 26,412,450 |
| National Grid PLC, SADR | 135,000 | 6,080,400 |
| NiSource, Inc. (Z) | 790,500 | 14,719,110 |
| NSTAR (Z) | 600,000 | 26,028,000 |
| OGE Energy Corp. (Z) | 714,200 | 32,774,637 |
| Public Service Enterprise Group, Inc. (L)(Z) | 360,000 | 11,674,800 |
| 1 |
Tax-Advantaged Dividend Income Fund
As of 01-31-11 (Unaudited)
| Shares | Value | |
| Utilities (continued) | ||
|
| ||
| Vectren Corp. (L)(Z) | 790,000 | $20,927,100 |
| Xcel Energy, Inc. (L)(Z) | 870,000 | 20,505,900 |
| Shares | Value | |
| Preferred Securities 62.48% | $396,761,267 | |
|
| ||
| (Cost $405,673,384) | ||
| Consumer Discretionary 0.49% | 3,104,520 | |
|
| ||
| Media 0.49% | ||
| Comcast Corp., 7.000% (Z) | 123,000 | 3,104,520 |
| Consumer Staples 0.80% | 5,110,700 | |
|
| ||
| Food Products 0.80% | ||
| Archer-Daniels-Midland Company, 6.250% | 122,500 | 5,110,700 |
| Energy 3.50% | 22,192,712 | |
|
| ||
| Oil, Gas & Consumable Fuels 3.50% | ||
| Nexen, Inc., 7.350% (C) | 882,765 | 22,192,712 |
| Financials 37.26% | 236,626,566 | |
|
| ||
| Capital Markets 0.00% | ||
| Lehman Brothers Holdings, Inc., Depositary Shares, Series C, | ||
| 5.940% (I) | 274,760 | 2,748 |
| Lehman Brothers Holdings, Inc., Depositary Shares, Series D, | ||
| 5.670% (I) | 65,000 | 910 |
| Lehman Brothers Holdings, Inc., Depositary Shares, Series F, | ||
| 6.500% (I) | 219,300 | 1,097 |
| Commercial Banks 12.53% | ||
| Barclays Bank PLC, Series 5, 8.125% | 450,078 | 11,607,512 |
| HSBC Holdings PLC, 8.125% (L)(Z) | 50,000 | 1,334,500 |
| HSBC Holdings PLC, 8.000% (C) | 325,000 | 8,797,750 |
| Royal Bank of Scotland Group PLC, Series L, 5.750% (Z) | 858,500 | 15,238,375 |
| Santander Finance Preferred SA Unipersonal, Series 10, 10.500% | 242,000 | 6,771,160 |
| Santander Finance Preferred SA, Series 1, 6.410% | 15,500 | 355,260 |
| Santander Holdings USA, Inc., Series C, 7.300% | 40,000 | 1,000,400 |
| USB Capital VIII, Series 1, 6.350% | 55,000 | 1,375,000 |
| Wells Fargo & Company, 8.000% (Z) | 1,207,000 | 33,083,869 |
| Consumer Finance 0.88% | ||
| HSBC Finance Corp., Depositary Shares, Series B, 6.360% (Z) | 150,000 | 3,501,000 |
| SLM Corp., Series A, 6.970% (Z) | 50,000 | 2,066,500 |
| Diversified Financial Services 20.03% | ||
| Bank of America Corp., 8.200% (Z) | 160,000 | 4,078,400 |
| Bank of America Corp., 6.625% (Z) | 355,000 | 8,338,950 |
| Bank of America Corp., 6.375% (Z) | 139,000 | 3,117,770 |
| Bank of America Corp., 6.700% (L)(Z) | 500,000 | 11,770,000 |
| Bank of America Corp., Depositary Shares, Series D, 6.204% (Z) | 240,000 | 5,373,600 |
| Bank of America Corp., Series MER, 8.625% (C) | 652,800 | 17,181,696 |
| Citigroup Capital VIII, 6.950% (Z) | 540,000 | 13,257,000 |
| Citigroup Capital XIII (7.875% to 10/30/2015, then 3 month LIBOR + | ||
| 6.370%) | 27,100 | 724,383 |
| Citigroup, Inc., 8.125% | 260,400 | 6,942,264 |
| 2 |
Tax-Advantaged Dividend Income Fund
As of 01-31-11 (Unaudited)
| Shares | Value | |||
| Financials (continued) | ||||
|
| ||||
| Deutsche Bank Capital Funding Trust VIII, 6.375% (Z) | 282,000 | $6,260,400 | ||
| Deutsche Bank Contingent Capital Trust II, 6.550% (Z) | 310,000 | 7,126,900 | ||
| Deutsche Bank Contingent Capital Trust III, 7.600% (Z) | 797,893 | 20,489,892 | ||
| ING Groep NV, 6.200% (Z) | 109,100 | 2,258,370 | ||
| ING Groep NV, 7.050% (Z) | 140,000 | 3,150,000 | ||
| JPMorgan Chase & Company, 8.625% (Z) | 140,000 | 3,820,600 | ||
| RBS Capital Funding Trust VII, 6.080% | 983,000 | 13,309,820 | ||
| Insurance 3.81% | ||||
| MetLife, Inc., Series B, 6.500% (L)(Z) | 976,000 | 24,195,040 | ||
| Thrifts & Mortgage Finance 0.01% | ||||
| Federal National Mortgage Association, Series S, 7.750% (I) | 60,000 | 95,400 | ||
| Telecommunication Services 3.74% | 23,751,960 | |||
|
| ||||
| Wireless Telecommunication Services 3.74% | ||||
| Telephone & Data Systems, Inc., 6.875% | 227,900 | 5,626,851 | ||
| Telephone & Data Systems, Inc., Series A, 7.600% (Z) | 268,940 | 6,798,803 | ||
| United States Cellular Corp., 7.500% (Z) | 448,389 | 11,326,306 | ||
| Utilities 16.69% | 105,974,809 | |||
|
| ||||
| Electric Utilities 10.88% | ||||
| Alabama Power Company, Class A, 5.300% (Z) | 193,200 | 4,781,700 | ||
| Carolina Power & Light Company, 5.440% (Z) | 111,493 | 10,414,149 | ||
| Duquesne Light Company, 6.500% (Z) | 427,000 | 20,776,240 | ||
| Entergy Arkansas, Inc., 4.560% (Z) | 9,388 | 721,996 | ||
| Entergy Arkansas, Inc., 6.450% (Z) | 110,000 | 2,729,375 | ||
| Entergy Mississippi, Inc., 4.920% (Z) | 8,190 | 693,847 | ||
| Entergy Mississippi, Inc., 6.250% (Z) | 197,500 | 4,857,276 | ||
| FPC Capital I, Series A, 7.100% (Z) | 55,000 | 1,406,350 | ||
| PPL Electric Utilities Corp., Depositary Shares, 6.250% (Z) | 300,000 | 7,455,000 | ||
| PPL Energy Supply, LLC, 7.000% (Z) | 297,512 | 7,533,004 | ||
| Southern California Edison Company, 6.125% (Z) | 50,000 | 4,896,875 | ||
| Southern California Edison Company, Series C, 6.000% (Z) | 30,000 | 2,840,625 | ||
| Independent Power Producers & Energy Traders 2.52% | ||||
| Constellation Energy Group, Inc., Series A, 8.625% (Z) | 597,483 | 15,982,670 | ||
| Multi-Utilities 3.29% | ||||
| BGE Capital Trust II, 6.200% (Z) | 160,500 | 3,973,980 | ||
| Consolidated Edison Company of New York, Inc., Series C, 4.650% | 16,345 | 1,417,929 | ||
| Consolidated Edison Company of New York, Inc., Series D, 4.650% | 5,000 | 430,155 | ||
| Interstate Power & Light Company, Series B, 8.375% (Z) | 230,000 | 6,578,000 | ||
| Interstate Power & Light Company, Series C, 7.100% (Z) | 10,700 | 282,052 | ||
| Pacific Enterprises, 4.500% (Z) | 45,000 | 3,690,000 | ||
| Xcel Energy, Inc., 4.560%, Series G (Z) | 53,900 | 4,513,586 | ||
| Maturity | Par value | |||
| Yield* | date | Value | ||
| Short-Term Investments 0.20% | $1,251,000 | |||
|
| ||||
| (Cost $1,251,000) | ||||
| Short-Term Securities 0.16% | 1,000,000 | |||
|
| ||||
| Federal Home Loan Bank Discount Notes | 0.100% | 02-01-11 | $1,000,000 | 1,000,000 |
| 3 |
Tax-Advantaged Dividend Income Fund
As of 01-31-11 (Unaudited)
| Shares | Value | |
| Repurchase Agreement 0.04% | $251,000 | |
|
| ||
| Repurchase Agreement with State Street Corp. dated 1-31-11 at 0.010% to be | ||
| repurchased at $251,000 on 2-1-11, collateralized by $265,000 Federal National | ||
| Mortgage Association, 3.420% due 11-24-20 (valued at $257,381, including interest) | 251,000 | 251,000 |
| Total investments (Cost $929,869,258)† 150.58% | $956,201,570 | |
|
| ||
| Other assets and liabilities, net (50.58%) | ($321,189,153) | |
|
| ||
| Total net assets 100.00% | $635,012,417 | |
|
| ||
The percentage shown for each investment category is the total value the category as a percentage of the net assets of the Fund.
Notes to Schedule of Investments
LIBOR London Interbank Offered Rate
SADR Sponsored American Depositary Receipts
(C) All or a portion of this security is segregated as collateral for options overlay. Total collateral value at 1-31-11 was $50,403,526.
(I) Non-income producing security.
(L) All or a portion of this security is on loan as of 1-31-11. Total value of securities on loan at 1-31-11 was $252,144,803.
(Z) All or a portion of this security is segregated as collateral pursuant to the Committed Facility Agreement. Total collateral value at 1-31-11 was $446,105,103.
* Yield represents the annualized yield at the date of purchase.
† At 1-31-11, the aggregate cost of investment securities for federal income tax purposes was $941,751,053. Net unrealized appreciation aggregated $14,450,517, of which $98,806,851 related to appreciated investment securities and $84,356,334 related to depreciated investment securities.
| 4 |
Notes to the Schedule of Investments (Unaudited)
Security valuation. Investments are stated at value as of the close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 P.M., Eastern Time. The Fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the Fund’s own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the values by input classification of the Fund’s investments as of January 31, 2011, by major security category or type:
| Level 2 | Level 3 | ||||||||
| Total Market | Significant | Significant | |||||||
| Value at | Level 1 | Observable | Unobservable | ||||||
| 1/31/2011 | Quoted Price | Inputs | Inputs | ||||||
|
| |||||||||
| Common Stocks | |||||||||
| Consumer Discretionary | $89 | — | — | $89 | |||||
| Energy | 58,194,300 | $58,194,300 | — | — | |||||
| Industrials | 9,264,400 | 9,264,400 | — | — | |||||
| Telecommunication Services | 31,115,260 | 31,115,260 | — | — | |||||
| Utilities | 459,615,254 | 459,615,254 | — | — | |||||
| Preferred Securities | |||||||||
| Consumer Discretionary | 3,104,520 | 3,104,520 | — | — | |||||
| Consumer Staples | 5,110,700 | 5,110,700 | — | — | |||||
| Energy | 22,192,712 | 22,192,712 | — | — | |||||
| Financials | 236,626,566 | 236,623,818 | $2,748 | — | |||||
| Telecommunication Services | 23,751,960 | 23,751,960 | — | — | |||||
| Utilities | 105,974,809 | 57,614,271 | 48,360,538 | — | |||||
| Short-Term Investments | 1,251,000 | — | 1,251,000 | — | |||||
|
| |||||||||
| Total investments in Securities | $956,201,570 | $906,587,195 | $49,614,286 | $89 | |||||
| Other Financial Instruments: | |||||||||
| Written Options | ($3,555,435) | ($3,555,435) | — | — | |||||
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. During the three-month period ended January 31, 2011, there were no significant transfers in or out of Level 1 and Level 2 assets.
| 5 |
Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period. The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| Consumer Discretionary | |||
|
|
|||
| Balance as of 10-31-10 | $89 | ||
| Accrued discounts / premiums | - | ||
| Realized gain (loss) | - | ||
| Change in unrealized appreciation (depreciation) | - | ||
| Net purchases (sales) | - | ||
| Net transfers in and/out of Level 3 | - | ||
| Balance as of 1-31-11 | $89 | ||
In order to value the securities, the Fund uses the following valuation techniques. Equity securities held by the Fund are valued at the last sale price or official closing price on the principal securities exchange on which they trade. In the event there were no sales during the day or closing prices are not available, then securities are valued using the last quoted bid or evaluated price. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing service. Certain securities traded only in the over-the-counter market are valued at the last bid price quoted by brokers making markets in the securities at the close of trading. Certain short-term securities are valued at amortized cost.
Other portfolio securities and assets, where market quotations are not readily available, are valued at fair value, as determined in good faith by the Fund’s Pricing Committee, following procedures established by the Board of Trustees.
Repurchase agreements. The Fund may enter into repurchase agreements. When a Fund enters into a repurchase agreement, it receives collateral which is held in a segregated account by the Fund’s custodian. The collateral amount is marked-to-market and monitored on a daily basis to ensure that the collateral held is in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the collateral value may decline.
Options. There are two types of options, a put option and a call option. Options are traded either over-the-counter or on an exchange. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying instrument at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price.
Options listed on an exchange are valued at their closing price. If no closing price is available, then they are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. For options not listed on an exchange, an independent pricing source is used to value the options at the mean between the last bid and ask prices. When the Fund purchases an option, the premium paid by the Fund is included in the Portfolio of Investments and subsequently “marked-to-market” to reflect current market value. If the purchased option expires, the Fund realizes a loss equal to the cost of the option. If the Fund exercises a call option, the cost of the securities acquired by exercising the call is increased by the premium paid to buy the call. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are decreased by the premium paid. If the Fund enters into a closing sale transaction, the Fund realizes a gain or loss, depending on whether proceeds from the closing sale are greater or less than the original cost. When the Fund writes an option, the premium received is included as a liability and subsequently “marked-to-market” to reflect current market value of the option written. Premiums received from writing options that expire unexercised are recorded as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or
| 6 |
amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium received reduces the cost basis of the securities purchased by the Fund.
During the three months ended January 31, 2011, the Fund wrote option contracts to seek to enhance potential gain income and hedge against anticipated changes in securities markets. The following tables summarize the Fund’s written options activities during the three months ended January 31, 2011 and the contracts held at January 31, 2011.
| PREMIUM | ||||
| NUMBER OF | RECEIVED | |||
| CONTRACTS | (PAID) | |||
| Outstanding, beginning of year | 2,519 | $2,370,329 | ||
| Options written | 6,522 | 6,394,262 | ||
| Options closed | (5,231) | (5,087,524) | ||
| Options expired | (1,885) | (765,114) | ||
| Outstanding, end of year | 1,925 | $2,911,953 |
| EXERCISE | EXPIRATION | NUMBER OF | |||
| NAME OF ISSUER | PRICE | DATE | CONTRACTS | PREMIUM | VALUE |
| CALLS | |||||
| Dow Jones Industrial Average Index | 117 | Feb 2011 | 590 | $94,392 | ($148,385) |
| Morgan Stanley Cyclical Index | 1,030 | Feb 2011 | 65 | 237,054 | (284,050) |
| Philadelphia Semiconductor Index | 425 | Feb 2011 | 160 | 135,518 | (311,200) |
| Russell 1000 Index | 690 | Feb 2011 | 100 | 178,699 | (264,000) |
| Russell 2000 Index | 785 | Feb 2011 | 85 | 250,494 | (119,850) |
| S&P 500 Index | 1,250 | Feb 2011 | 280 | 891,306 | (1,148,000) |
| S&P 500 Index | 1,275 | Feb 2011 | 480 | 896,929 | (1,176,000) |
| S&P 600 SmallCap Index | 420 | Feb 2011 | 165 | 227,561 | (103,950) |
| Total | 1,925 | $2,911,953 | ($3,555,435) |
Fair value of derivative instruments by risk category
The table below summarizes the fair value of derivatives held by the Fund at July 31, 2010 by risk category:
| Asset | Liability | ||
| Financial instruments | Derivatives | Derivatives Fair | |
| Risk | location | Fair Value | Value |
|
| |||
| Equity Contracts | Written options, at value | - | ($3,555,435) |
|
| |||
For additional information on the Fund’s significant accounting policies, please refer to the Fund’s most recent semi-annual or annual report.
| 7 |
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-Q, the registrant's principal executive officer and principal accounting officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Separate certifications for the registrant's principal executive officer and principal accounting officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
| SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
John Hancock Tax-Advantaged Dividend Income Fund
By: /s/ Keith F. Hartstein
Keith F. Hartstein
President and Chief Executive Officer
Date: March 18, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Keith F. Hartstein
Keith F. Hartstein
President and Chief Executive Officer
Date: March 18, 2011
By: /s/ Charles A. Rizzo
Charles A. Rizzo
Chief Financial Officer
Date: March 18, 2011